Q-Level Mean Reversion Alpha

Family: mean_reversion · Regime: ranging · Complexity: medium · Asset classes: Equities, Forex, Major Indices · Timeframes: M15, H1

Thesis

Intraday price action often respects institutional 'walls' (Q-Levels) within the context of the previous day's range. When price reaches these levels with momentum confirmation (REI/HA), it is likely to revert to the daily Volume-Weighted Average Price (VWAP) as market participants seek 'fair value' liquidity.

Components

• Daily High Low MTF (regime) — Defines the higher-timeframe boundaries (Range vs. Trend) to filter out noise. trading occurs only within the previous day's context.
• Heikin Ashi (direction) — Filters out minor price fluctuations to identify the dominant short-term intraday momentum direction.
• Q-Levels V2.2 (entry) — Provides specific entry triggers based on institutional supply/demand zones or calculated gamma walls.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Serves as the intraday 'fair value' anchor; price returning to VWAP signifies completion of the trade cycle.
• Average True Range (ATR) (risk) — Provides volatility-adjusted risk spacing, ensuring stops are not prematurely hit by noise.
• Range Expansion Index (REI) (confirmation) — Ensures the price move toward the Q-Level is not exhausted and possesses sufficient velocity to continue.

Known failure conditions

• Persistent consolidation at Q-Levels without directional follow-through.
• Frequent REI volatility spikes resulting in 'zeroed out' signals during high-impact news.
• Daily VWAP remaining flat while price oscillates in tight ATR bands.

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